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作者：Mitton, Todd; Vorkink, Keith
作者单位：Brigham Young University; Massachusetts Institute of Technology (MIT)
摘要：We develop a one-period model of investor asset holdings where investors have heterogeneous preference for skewness. Introducing heterogeneous preference for skewness allows the model's investors, in equilibrium, to underdiversify. We find support for our model's three key implications using a dataset of 60,000 individual investor accounts. First, we document that the portfolio returns of underdiversified investors are substantially more positively skewed than those of diversified investors. S...
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作者：Eaves, James; Williams, Jeffrey
作者单位：University of California System; University of California Davis; Rutgers University System; Rutgers University New Brunswick
摘要：The Tokyo Grain Exchange (TGE)'s itayose mechanism provides the opportunity to analyze functioning Walrasian tatonnement auctions (WTA). In 15,677 auctions conducted over 1997-1998 for corn and redbean futures contracts, price formation is unexpectedly similar to that observed in continuous double auctions. Provisional prices and pledges are informative. In contrast to behavior observed in experiments, few pledges are deceptive, because the traders participate repeatedly and because the auctio...
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作者：Pavlova, Anna; Rigobon, Roberto
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of London; London Business School
摘要：We study the implications of introducing demand shocks and trade in goods into an otherwise standard international asset pricing model. Trade in goods gives rise to an additional channel of international propagation-through the terms of trade-absent in traditional single-good models. The inclusion of demand shocks helps overturn many unrealistic implications of existing international finance models in which productivity shocks are the sole source of uncertainty. Our model generates a rich set ...
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作者：Hou, Kewei
作者单位：University System of Ohio; Ohio State University
摘要：I argue that the slow diffusion of industry information is a leading cause of the lead-lag effect in stock returns. I find that the lead-lag effect between big firms and small firms is predominantly an intra-industry phenomenon. Moreover, this effect is driven by sluggish adjustment to negative information, and is robust to alternative determinants of the lead-lag effect. Small, less competitive and neglected industries experience a more pronounced lead-lag effect. The lead-lag effect is relat...
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作者：Degeorge, Francois; Derrien, Francois; Womack, Kent L.
作者单位：Dartmouth College; University of Toronto; Universita della Svizzera Italiana; Swiss Finance Institute (SFI)
摘要：The bookbuilding IPO procedure has captured significant market share from auction alternatives recently, despite the significantly lower costs related to the auction mechanism. In France, where both mechanisms were used in the 1990s, the ostensible advantages of bookbuilding were advertising-related benefits. Book-built issues were more likely to be followed and positively recommended by lead underwriters. Even nonunderwriters' analysts promote book-built issues more in order to curry favor wi...
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作者：He, Ping
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：In the IPO market, investors coordinate on acceptable IPO price based on the performance of past IPOs, and this generates an incentive for investment banks to produce information about IPO firms. In hot periods, the information produced by investment banks improves the quality of IPO firms, and this allows ex ante low quality firms to go public and increases the secondary market price, thus synchronizing high IPO volumes and high first day returns. When investment banks behave asymmetrically i...
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作者：Mathews, Richmond D.
作者单位：Duke University
摘要：I show that firms may optimally sell blocks of their own equity to other firms in anticipation of future corporate control activity. In the model, a target and one potential acquirer, who may also be an alliance partner, can negotiate before synergy values are learned. I find that equity implements an optimal mechanism, allowing the partners to extract surplus from outside bidders who may arrive later. The stake is limited by the outsiders' willingness to investigate. The results imply that co...
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作者：Povel, Paul; Singh, Rajdeep; Winton, Andrew
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：Firms sometimes commit fraud by altering publicly reported information to be more favorable, and investors can monitor firms to obtain more accurate information. We study equilibrium fraud and monitoring decisions. Fraud is most likely to occur in relatively good times, and the link between fraud and good times becomes stronger as monitoring costs decrease. Nevertheless, improving business conditions may sometimes diminish fraud. We provide an explanation for why fraud peaks towards the end of...
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作者：Kalcheva, Ivalina; Lins, Karl V.
作者单位：Utah System of Higher Education; University of Utah; University of Arizona
摘要：This article uses managerial control rights data for over 5000 firms from 31 countries to examine the net costs and benefits of cash holdings. We find that when external country-level shareholder protection is weak, firm values are lower when controlling managers hold more cash. Further, when external shareholder protection is weak we find that firm values are higher when controlling managers pay dividends. Only when external shareholder protection is strong do we find that cash held by contro...
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作者：Ivkovic, Zoran; Weisbenner, Scott
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Michigan State University; National Bureau of Economic Research
摘要：We study the relation between households' stock purchases and stock purchases made by their neighbors. A ten percentage point increase in neighbors' purchases of stocks from an industry is associated with a two percentage point increase in households' own purchases of stocks from that industry. The effect is considerably larger for local stocks and among households in more social states. Controlling for area sociability, households' and neighbors' investment style preferences, and the industry...
